Support Board
Date/Time: Sun, 02 Feb 2025 16:06:26 +0000
[User Discussion] - Q: are depth ticks always recorded in chronological order?
View Count: 640
| [2019-09-17 15:25:42] |
| uM8137 - Posts: 183 |
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I'm looking through some of the SierraChart .depth ticks that were recorded from the CQG feed back in 2018 on the US 30 year treasury bond futures. There are many cases where the timestamps are badly out of order. Even though the timestamps are out of order, is there any guarantee of "first-in-first-out"? In other words, is the order of ticks recorded on disk the order in which they arrived? Or perhaps, does the timestamp on the depth update represent the time that quote was last updated? I'm trying to make the best of a bad situation. I haven't found a simple workaround. If I throw out the out of order ticks, I loose the majority of the data. F.US.USAZ18 from CQG:
date time (Chicago) dom ask dom bid update (new size not shown here). 2018-09-04 08:59:56.105414 143.18750 0.00000 2018-09-04 08:59:56.106415 143.21875 0.00000 2018-09-04 08:59:56.107415 143.25000 0.00000 2018-09-04 08:59:56.108415 143.21875 0.00000 2018-09-04 08:59:56.109415 143.25000 0.00000 2018-09-04 09:00:05.000000 0.00000 143.12500 2018-09-04 09:00:05.001000 0.00000 143.12500 2018-09-04 08:59:55.999781 0.00000 143.12500 << huh? 2018-09-04 08:59:56.000781 0.00000 143.15625 << WAT? what happened to 09:00:05... 2018-09-04 08:59:56.001781 0.00000 143.15625 2018-09-04 08:59:56.002782 143.18750 0.00000 2018-09-04 08:59:56.003782 143.21875 0.00000 2018-09-04 08:59:56.004782 143.25000 0.00000 2018-09-04 08:59:56.005782 0.00000 143.15625 |
| [2019-09-17 16:23:21] |
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The reason for the out of order timestamps is because we never understood how CQG does their timestamps until recently. There is no documentation they provide for this. And when there was a missing timestamp we would use the last received timestamp for the particular data type. And for depth we would use the local computer clock. So the timestamps could be out of order but certainly the order in which the data is recorded is the order in which the depth updates are received from CQG. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2019-09-17 16:23:47
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